Alternative selection of a portfolio has been a challenging research area in finance and investment decision making. Recent advances in single Decision Support Systems (DSS), soft computing and machine learning models are to solve the problems in selection of alternatives under uncertain market and risk environments. These models have not considered concurrently uncertain values including quant...

Real market institutions, stock and commodity exchanges for example, do not occur in isolation. Company stock is frequently listed on several stock exchanges, allowing traders to potentially trade such stock in different markets. While there has been extensive research into agent-based trading in individual markets, there is little work on agents that trade in such multiple market scenarios. Ou...

Autonomous trading is often seen as artificial intelligence applied to finance by AI researchers, but it may also be a way to motivate the development of autonomous agents, just like robot soccer competitions are used to motivate the research in mobile robots. In fact, some initiatives could be observed in recent years, for instance [1] and [2]. In this paper, we present a multiagent system com...

At the beginning of his medical career, George Spence signed a contract with the Hudson's Bay Company (HBC) as surgeon for the Fort Albany fur trading post located on James Bay in British North America. During his first three years (1738-41), Spence encountered formidable personal and professional challenges which can be partially reconstructed through examination of surgeon's journal for 1740-...

When a company goes public it is standard practice that more shares are allocated than issued. The resulting short position that the offering syndicate holds is commonly filled either by aftermarket trading or by the execution of the so-called overallotment option, a standard feature of IPO arrangements. We propose a simple theoretical model to study the implications of this combination of shor...

Financial exchanges around the world predominantly use a market design called the continuous limit order book (CLOB). Our recent research, Budish, Cramton, and Shim (2013)— henceforth, BCS—argues that this design is flawed. In a continuous-time market, every time there is new public information that has implications for security prices—every change in the price of one security that has implicat...

This paper investigates whether information asymmetry affects corporate bond credit spreads. To gauge the extent of information asymmetry, we use decomposed equity institutional ownership based on the past investment and trading styles (Bushee(1998, 2001)). First, we detect that different institutional groups are associated with firms with varying degrees of information asymmetry. Moreover, we ...

This paper discusses broad features of the introduction of television in two Swampy Cree communities on the west coast of James Bay in northern Ontario, Canada. The first of these communities is Fort Albany, a village of about 580 Swampy Cree Indians located approximately 100 miles north of Moosonee and Moose Factory, Ontario. Fort Albany was founded between 1675 and 1679 as the third Hudson's ...

In this paper, we consider the net loss of a life insurance company issuing identical equity-linked pure endowment contracts in the case of periodic premiums. Under this construction, financial risks as well as the mortality risk are included. Based on Møller (1998), we particularly investigate the situation where the company applies a time-discretized risk-minimizing hedging strategy, i.e., a ...